File:Applying Breeden-Litzenberger to swaption prices.pdf: Revision history

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21 April 2026

  • curprev 13:5113:51, 21 April 2026 3316950 talk contribs 917 bytes +917 This project applies the logic of Breeden-Litzenberger to extract conditional densities from swaption prices around important FOMC decisions. The data was extracted from Bloomberg, and contains the normal implied volatilites of +-200bps ATM for 3 month -
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